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Caporin, Massimiliano

Author ID: caporin.massimiliano Recent zbMATH articles by "Caporin, Massimiliano"
Published as: Caporin, Massimiliano; Caporin, M.
External Links: ORCID · dblp
Documents Indexed: 22 Publications since 2002
Co-Authors: 21 Co-Authors with 20 Joint Publications
252 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

21 Publications have been cited 97 times in 89 Documents Cited by Year
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Zbl 1088.62123
Billio, Monica; Caporin, Massimiliano
14
2005
A generalized dynamic conditional correlation model for portfolio risk evaluation. Zbl 1162.91364
Billio, Monica; Caporin, Massimiliano
10
2009
Generalised long-memory GARCH models for intra-daily volatility. Zbl 1445.62309
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
9
2007
A note on calculating autocovariances of long-memory processes. Zbl 1062.62164
Bertelli, Stefano; Caporin, Massimiliano
8
2002
Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion. Zbl 1284.91468
Billio, Monica; Caporin, Massimiliano
7
2010
Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247
Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra
6
2018
Chasing volatility. A persistent multiplicative error model with jumps. Zbl 1456.62243
Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
5
2017
Robust ranking of multivariate GARCH models by problem dimension. Zbl 1506.62033
Caporin, Massimiliano; McAleer, Michael
5
2014
Dynamic large financial networks via conditional expected shortfalls. Zbl 1490.91234
Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, Bertrand B.
5
2022
Proximity-structured multivariate volatility models. Zbl 1491.62150
Caporin, Massimiliano; Paruolo, Paolo
5
2015
Periodic long-memory GARCH models. Zbl 1161.62054
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
4
2009
Option pricing with non-Gaussian scaling and infinite-state switching volatility. Zbl 1337.91085
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio L.; Zamparo, Marco
3
2015
Variance (non) causality in multivariate GARCH. Zbl 1108.62085
Caporin, Massimiliano
3
2007
Fast clustering of GARCH processes via Gaussian mixture models. Zbl 1499.91181
Aielli, Gian Piero; Caporin, Massimiliano
3
2013
Ensemble properties of high-frequency data and intraday trading rules. Zbl 1398.62278
Baldovin, F.; Camana, F.; Caporin, M.; Caraglio, M.; Stella, A. L.
2
2015
Variance clustering improved dynamic conditional correlation MGARCH estimators. Zbl 1506.62008
Aielli, Gian Piero; Caporin, Massimiliano
2
2014
Identification of long memory in GARCH models. Zbl 1145.62365
Caporin, Massimiliano
2
2003
Precious metals under the microscope: a high-frequency analysis. Zbl 1398.62284
Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G.
1
2015
Forecasting temperature indices density with time-varying long-memory models. Zbl 1397.62402
Caporin, Massimiliano; Preś, Juliusz
1
2013
Misspecification tests for periodic long memory GARCH models. Zbl 1332.62312
Caporin, Massimiliano; Lisi, Francesco
1
2010
Modelling and forecasting wind speed intensity for weather risk management. Zbl 1254.86023
Caporin, Massimiliano; Preś, Juliusz
1
2012
Dynamic large financial networks via conditional expected shortfalls. Zbl 1490.91234
Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, Bertrand B.
5
2022
Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247
Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra
6
2018
Chasing volatility. A persistent multiplicative error model with jumps. Zbl 1456.62243
Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
5
2017
Proximity-structured multivariate volatility models. Zbl 1491.62150
Caporin, Massimiliano; Paruolo, Paolo
5
2015
Option pricing with non-Gaussian scaling and infinite-state switching volatility. Zbl 1337.91085
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio L.; Zamparo, Marco
3
2015
Ensemble properties of high-frequency data and intraday trading rules. Zbl 1398.62278
Baldovin, F.; Camana, F.; Caporin, M.; Caraglio, M.; Stella, A. L.
2
2015
Precious metals under the microscope: a high-frequency analysis. Zbl 1398.62284
Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G.
1
2015
Robust ranking of multivariate GARCH models by problem dimension. Zbl 1506.62033
Caporin, Massimiliano; McAleer, Michael
5
2014
Variance clustering improved dynamic conditional correlation MGARCH estimators. Zbl 1506.62008
Aielli, Gian Piero; Caporin, Massimiliano
2
2014
Fast clustering of GARCH processes via Gaussian mixture models. Zbl 1499.91181
Aielli, Gian Piero; Caporin, Massimiliano
3
2013
Forecasting temperature indices density with time-varying long-memory models. Zbl 1397.62402
Caporin, Massimiliano; Preś, Juliusz
1
2013
Modelling and forecasting wind speed intensity for weather risk management. Zbl 1254.86023
Caporin, Massimiliano; Preś, Juliusz
1
2012
Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion. Zbl 1284.91468
Billio, Monica; Caporin, Massimiliano
7
2010
Misspecification tests for periodic long memory GARCH models. Zbl 1332.62312
Caporin, Massimiliano; Lisi, Francesco
1
2010
A generalized dynamic conditional correlation model for portfolio risk evaluation. Zbl 1162.91364
Billio, Monica; Caporin, Massimiliano
10
2009
Periodic long-memory GARCH models. Zbl 1161.62054
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
4
2009
Generalised long-memory GARCH models for intra-daily volatility. Zbl 1445.62309
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
9
2007
Variance (non) causality in multivariate GARCH. Zbl 1108.62085
Caporin, Massimiliano
3
2007
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Zbl 1088.62123
Billio, Monica; Caporin, Massimiliano
14
2005
Identification of long memory in GARCH models. Zbl 1145.62365
Caporin, Massimiliano
2
2003
A note on calculating autocovariances of long-memory processes. Zbl 1062.62164
Bertelli, Stefano; Caporin, Massimiliano
8
2002
all top 5

Cited by 186 Authors

7 Caporin, Massimiliano
3 Fry-McKibbin, Renée A.
3 Hsiao, Cody Yu-Ling
3 Karanasos, Menelaos
3 Peiris, M. Shelton
2 Aielli, Gian Piero
2 Almohaimeed, Bader S.
2 Anatolyev, Stanislav
2 Bodnar, Taras
2 Chua, Chew Lian
2 D’Urso, Pierpaolo
2 Fermanian, Jean-David
2 Gribisch, Bastian
2 Holan, Scott H.
2 Hurvich, Clifford M.
2 Lafuente-Rego, Borja
2 Lisi, Francesco
2 McAleer, Michael
2 Otranto, Edoardo
2 Paterlini, Sandra
2 Tsiaplias, Sarantis
2 Vilar, José Antonio
1 Abadir, Karim M.
1 Afonso, António
1 Aknouche, Abdelhakim
1 Aladağ, Çağdaş Hakan
1 Alexandre, Michel
1 Allen, David E.
1 Asai, Manabu
1 Baldovin, Fulvio
1 Bauwens, Luc Claude A.
1 Bernardi, Mauro
1 Billio, Monica
1 Bisaglia, Luisa
1 Bonaccolto, Giovanni
1 Bordignon, Silvano
1 Borovkova, Svetlana
1 Bouchaud, Jean-Philippe
1 Boutahar, Mohamed
1 Caggiano, Giovanni
1 Caporin, Massimilano
1 Caraglio, Michele
1 Catania, Leopoldo
1 Cavicchioli, Maddalena
1 Chan, Jennifer So Kuen
1 Chan, Joshua C. C.
1 Chan, Ngai Hang
1 Chang, Chialin
1 Chen, Cathy W. S.
1 Chicheportiche, Rémy
1 Chitkasame, Terdthiti
1 Choy, S. T. Boris
1 Christopoulos, Apostolos
1 Chronopoulou, Alexandra
1 Conrad, Christian
1 Davis, Ginger M.
1 De Gooijer, Jan G.
1 Deo, Rohit S.
1 Dhaene, Geert
1 Diao, Xundi
1 Dimitrakopoulos, Stefanos
1 Du, Shaofu
1 Duchesne, Pierre
1 Dungey, Mardi
1 Durante, Fabrizio
1 Eğrioğlu, Erol
1 Gallegati, Marco
1 Gebbie, Tim
1 Giacometti, Rosella
1 Gomes, Pedro R. S.
1 Gong, Qingbin
1 Gourieroux, Christian
1 Grazian, Clara
1 Grigoletto, Matteo
1 Haas, Markus
1 Halunga, Andreea G.
1 Hassan, M. Kabir
1 Hecq, Alain W.
1 Hendricks, Dieter
1 Holloway, Jet
1 Hunt, Richard
1 Huurman, Christian
1 Ivasiuk, Dmytro
1 Izzeldin, Marwan
1 Jiang, Wenjun
1 Jin, Xisong
1 Kadılar, Cem
1 Kartsaklas, A.
1 Kawasaki, Yoshinori
1 Kim, Jinki
1 Kittawit, A.
1 Laurent, Sébastien-Yves
1 Lazar, Emese
1 Lee, Oesook
1 Lehnert, Thorsten
1 Li, Zhe
1 Li, Zhichuan
1 Lin, Edward M. H.
1 Lindholm, Mathias
1 Liu, Jichun
...and 86 more Authors

Citations by Year